19 citations · 35 across the 9 of their papers we have counts for
15 papers
Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty
Alexis Bismuth, Olivier Guéant, Jiang Pu
This paper presents several models addressing optimal portfolio choice, optimal portfolio liquidation, and optimal portfolio transition issues, in which the expected returns of ris…
Optimal market making
Olivier Guéant
Market makers provide liquidity to other market participants: they propose prices at which they stand ready to buy and sell a wide variety of assets. They face a complex optimizati…
The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms
Jean-David Fermanian, Olivier Guéant, Jiang Pu
For the last two decades, most financial markets have undergone an evolution toward electronification. The market for corporate bonds is one of the last major financial markets to…
Optimal execution of ASR contracts with fixed notional
Olivier Guéant
Be it for taking advantage of stock undervaluation or in order to distribute part of their profits to shareholders, firms may buy back their own shares. One of the way they proceed…
A convex duality method for optimal liquidation with participation constraints
Olivier Guéant, Jean-Michel Lasry, Jiang Pu
In spite of the growing consideration for optimal execution in the financial mathematics literature, numerical approximations of optimal trading curves are almost never discussed.…
Accelerated Share Repurchase: pricing and execution strategy
Olivier Guéant, Jiang Pu, Guillaume Royer
In this article, we consider the optimal execution problem associated to accelerated share repurchase contracts. When firms want to repurchase their own shares, they often enter su…